Stock / Symbol: SPDR S&P500 ETF / SPY
Option Strategy: [private_monthly]double calendar[/private_monthly]
Price at trade post: $203.92
Reasoning: With volatility at relatively low levels, I'm putting on a [private_monthly]double calendar[/private_monthly] on SPY. This way, in addition to capitalizing on any directional move in the market, we'll benefit should volatility rise. The greeks going into this trade are: -8.9 delta, 3.1 theta, and 45.2 vega. Should either of our strike prices be hit prior to December's option expiration, we'll adjust the trade.
Trade Details:
[private_monthly]
BTO 2 SPY Jan15 208 calls
STO -2 SPY Dec14 208 calls
BTO 2 SPY Jan15 198 puts
STO -2 SPY Dec14 198 puts
for a max net debit of $2.00 per contract. The mid is currently at $1.91 (day order, limit order). Try for the mid plus 0.01. If not filled today, it's ok to try again another day.
Requirements:
Cost/Proceeds $390
Option Requirement $0
Total Requirements $390
Estimated Commission $12
[/private_monthly]
Max Risk: $390
Max Reward: $200 or 51% @ [private_monthly]at 198 (at current volatility level) [/private_monthly]by Dec 19
Profit Range: between $194.50 and $209 by Dec 19
Suggested Downside Stop @ 197
Suggested Upside Stop @ $208.75
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